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文章基本信息

  • 标题:Bayesian Inference in a Cointegrating Panel Data Model
  • 本地全文:下载
  • 作者:Gary Koop ; Roberto Leon-Gonzalez ; Rodney Strachan
  • 期刊名称:Discussion Papers / University of Leicester, Department of Economics
  • 出版年度:2006
  • 卷号:2006
  • 出版社:Leicester
  • 摘要:

    This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation. It is flexible in the sense that different cross-sectional units can have different cointegration ranks and cointegration spaces. Furthermore, the parameters which characterize short-run dynamics and deterministic components are allowed to vary over cross-sectional units. In addition to a noninformative prior, we introduce an informative prior which allows for information about the likely location of the cointegration space and about the degree of similarity in coefficients in different cross-sectional units. A collapsed Gibbs sampling algorithm is developed which allows for efficient posterior inference. Our methods are illustrated using real and artificial data.

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